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作者：Kadan, Ohad; Manela, Asaf
作者单位：Washington University (WUSTL)
摘要：We derive a general expression for the value of information to a price-taking investor in a dynamic environment and provide a framework for its estimation. We study the value of both private and public information and break it into its instrumental and psychic parts. To illustrate, we estimate and rank the values of leading macroeconomic indicators (GDP, employment, etc.). Using variations in option prices, we find that consumer-investors with conventional preference parameters would pay 3 to ...
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作者：Dou, Ying; Masulis, Ronald W.; Zein, Jason
作者单位：Monash University; University of New South Wales Sydney
摘要：We study a widespread yet under-explored corporate governance phenomenon: the pledging of company stock by insiders as collateral for personal bank loans. Utilizing a regulatory change that exogenously decreases pledging, we document a negative causal impact of pledging on shareholder wealth. We study two channels that could explain this effect. First, we find that margin calls triggered by severe price falls exacerbate the crash risk of pledging firms. Second, since margin calls may cause ins...
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作者：D'Acunto, Francesco; Prabhala, Nagpurnanand; Rossi, Alberto G.
作者单位：Boston College; Johns Hopkins University; Georgetown University
摘要：We study the introduction of a wealth-management robo-adviser that constructs portfolios tailored to investors' holdings and preferences. Adopters are similar to non-adopters in terms of demographics and prior interactions with human advisers but tend to be more active and have greater assets under management. Investors adopting robo-advising experience diversification benefits. Ex ante undiversified investors increase stock holdings and hold portfolios with less volatility and better returns....
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作者：Lyandres, Evgeny; Marchica, Maria-Teresa; Michaely, Roni; Mura, Roberto
作者单位：Boston University; University of Manchester; Alliance Manchester Business School; University of Geneva
摘要：Portfolio diversification of firms' controlling owners influences their firms' capital investment. Empirically, the effect of owners' portfolio diversification on their firms' investment levels is positive for publicly traded firms and tends to be negative for privately held ones. These findings are consistent with predictions of a model in which a risk-averse investor simultaneously chooses her portfolio structure, and both the level and riskiness of capital investment of the firm she control...
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作者：David, Alexander
作者单位：University of Calgary
摘要：Investment by oil firms positively affects the futures basis and negatively predicts excess returns on crude oil futures. I build an equilibrium model of drilling, exploration, and storage to understand these facts. Firms' capital stock lowers extraction costs as firms drill in increasingly expensive fields. Drilled wells produce the resource at a geometrically declining rate; however, by specifying consumers' habit level equaling production from old wells, the futures basis and risk premium a...
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作者：Pukthuanthong, Kuntara; Roll, Richard; Subrahmanyam, Avanidhar
作者单位：University of Missouri System; University of Missouri Columbia; California Institute of Technology; University of California System; University of California Los Angeles
摘要：We propose a protocol for identifying genuine risk factors. A genuine risk factor must be related to the covariance matrix of returns, must be priced in the cross-section of returns, and should yield a reward-to-risk ratio that is reasonable enough to be consistent with risk pricing. A market factor, a profitability factor, and traded versions of macroeconomic factors pass our protocol, but many characteristic-based factors do not. Several of the underlying characteristics, however, do command...
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作者：Korajczyk, Robert A.; Murphy, Dermot
作者单位：Northwestern University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We study market-making high-frequency trader (HFT) dynamics around large institutional trades in Canadian equities markets using order-level data with masked trader identification. Following a regulatory change that negatively affected HFT order activity, we find that bid-ask spreads increased and price impact decreased for institutional trades. The decrease in price impact is strongest for informed institutional traders. During institutional trade executions, HFTs submit more same-direction o...
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作者：Chakrabarti, Rajashri; Pattison, Nathaniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Southern Methodist University
摘要：Auto lenders were perhaps the biggest winners of the 2005 Bankruptcy Reform, as Chapter 13 bankruptcy filers can no longer cramdown the amount owed on recent auto loans. We estimate the causal effect of this anticramdown provision on the price and quantity of auto credit. Exploiting historical variation in states' usage of Chapter 13 bankruptcy, we find strong evidence that eliminating cramdowns decreased interest rates and some evidence that loan sizes increased among subprime borrowers. The ...
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作者：Hanley, Kathleen Weiss; Hoberg, Gerard
作者单位：Lehigh University; University of Southern California
摘要：We use computational linguistics to develop a dynamic, interpretable methodology that can detect emerging risks in the financial sector. Our model can predict heightened risk exposures as early as mid-2005, well in advance of the 2008 financial crisis. Risks related to real estate, prepayment, and commercial paper are elevated. Individual bank exposure strongly predicts returns, bank failures, and return volatility. We also document a rise in market instability since 2014 related to sources of...
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作者：O'Donovan, James; Wagner, Hannes F.; Zeume, Stefan
作者单位：City University of Hong Kong; Bocconi University; University of Michigan System; University of Michigan
摘要：We exploit one of the largest data leaks, to date, to study whether and how firms use secret offshore vehicles. From the leaked data, we identify 338 listed firms as users of secret offshore vehicles and document that these vehicles are used to finance corruption, avoid taxes, and expropriate shareholders. Overall, the leak erased $174 billion in market capitalization among implicated firms. Following the increased transparency brought about by the leak, implicated firms experience lower sales...
